Sensitivity of Class SA to Prepayments
Assumed Price 4.796875%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
4.13%................................................
47.8%
38.4%
35.7%
23.2%
5.13%................................................
23.5%
13.3%
10.3%
(3.6)%
6.13%................................................ (1.3)%
(12.6)%
(15.8)%
(31.6)%
6.50% and above............................
**
**
**
**
SECURITY GROUP 2
Sensitivity of Class SC to Prepayments
Assumed Price 5.078125%*
PSA Prepayment Assumption Rates
LIBOR
100%
350%
500%
700%
3.9975% ..........................................
47.1%
33.6%
25.2%
13.5%
4.9975% ..........................................
24.3%
10.2%
1.3%
(11.1)%
5.9975% ..........................................
1.4%
(13.5)%
(23.0)%
(36.5)%
6.5000% and above ......................
**
**
**
**
SECURITY GROUP 3
Sensitivity of Class DI to Prepayments
Assumed Price 0.09375%*
PSA Prepayment Assumption Rates
LIBOR
100%
295%
350%
600%
6.470% and below ........................
27.6%
17.4%
14.5%
0.9%
6.485% ............................................
9.1%
(1.8)%
(4.9)%
(19.9)%
6.500% and above ........................
**
**
**
**
* The price does not include accrued interest. Accrued interest has been added to the price in
calculating the yields set forth in the table.
** Indicates that investors will suffer a loss of virtually all of their investment.
S-34